In this paper we give a representation formula for the limit of the finite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon problem, as the discount factor goes to zero. We give sufficient conditions to characterize the limit function as unique nonnegative solution of the associated HJB equation. We also briefly discuss the ergodic problem.
Asymptotic problems in optimal control with a vanishing Lagrangian and unbounded data
MOTTA, MONICA;SARTORI, CATERINA
2015
Abstract
In this paper we give a representation formula for the limit of the finite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon problem, as the discount factor goes to zero. We give sufficient conditions to characterize the limit function as unique nonnegative solution of the associated HJB equation. We also briefly discuss the ergodic problem.
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